The following pages link to A stopped Brownian motion formula (Q1216106):
Displayed 45 items.
- On the drawdown of completely asymmetric Lévy processes (Q454869) (← links)
- Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their characteristics and applications (Q550141) (← links)
- Comparisons of control schemes for monitoring the means of processes subject to drifts (Q745464) (← links)
- On the drawdowns and drawups in diffusion-type models with running maxima and minima (Q890509) (← links)
- On minimizing drawdown risks of lifetime investments (Q896742) (← links)
- Large deviations for the maxima of some random fields (Q1088280) (← links)
- Some martingales related to cumulative sum tests and single-server queues (Q1231226) (← links)
- Quickest detection with exponential penalty for delay (Q1307093) (← links)
- Drawdown: from practice to theory and back again (Q1679554) (← links)
- Magnitude and speed of consecutive market crashes in a diffusion model (Q1703022) (← links)
- An efficient algorithm for simulating the drawdown stopping time and the running maximum of a Brownian motion (Q1703026) (← links)
- On the quadratic variation of the model-free price paths with jumps (Q1795403) (← links)
- Drawdowns and the speed of market crash (Q1930625) (← links)
- Pricing American drawdown options under Markov models (Q2030371) (← links)
- General drawdown based dividend control with fixed transaction costs for spectrally negative Lévy risk processes (Q2076351) (← links)
- On the analysis of deep drawdowns for the Lévy insurance risk model (Q2234758) (← links)
- Analysis of a drawdown-based regime-switching Lévy insurance model (Q2260949) (← links)
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups (Q2270885) (← links)
- Generalized expected discounted penalty function at general drawdown for Lévy risk processes (Q2306086) (← links)
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk (Q2389601) (← links)
- On a stopped functional for a bidimensional process (Q2393216) (← links)
- On taxed spectrally negative Lévy processes with draw-down stopping (Q2404541) (← links)
- Sequential change detection revisited (Q2426623) (← links)
- Asymptotic behavior of the local score of independent and identically distributed random sequences. (Q2574587) (← links)
- The Parisian and ultimate drawdowns of Lévy insurance models (Q2682983) (← links)
- On the double Laplace transform of the truncated variation of a Brownian motion with drift (Q2970990) (← links)
- Drawdowns preceding rallies in the Brownian motion model (Q3437396) (← links)
- Distributional Properties of CUSUM Stopping Times (Q3543505) (← links)
- A Comparison of 2-CUSUM Stopping Rules for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model (Q3618557) (← links)
- Distributional Properties of CUSUM Stopping Times and Stopped Processes (Q3630049) (← links)
- A control of a brownian storage system with two switcnover drifts (Q3819810) (← links)
- N-Stage output procedure of a finite dam (Q3867540) (← links)
- Impulse control of a brownian inventory system with supplier uncertainty (Q4036132) (← links)
- Some time-invariant stopping rule problems (Q4327884) (← links)
- Drawdown analysis for the renewal insurance risk process (Q4575464) (← links)
- A unified approach for drawdown (drawup) of time-homogeneous Markov processes (Q4684875) (← links)
- General drawdown-based de Finetti optimization for spectrally negative Lévy risk processes (Q4684956) (← links)
- Detecting changes in probabilities of a multi—component process (Q4865174) (← links)
- General drawdown of general tax model in a time-homogeneous Markov framework (Q5014313) (← links)
- Dividend payments until draw-down time for risk models driven by spectrally negative Lévy processes (Q5055203) (← links)
- The<i>W</i>,<i>Z</i>scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems (Q5135954) (← links)
- A pontryaghin maximum principle approach for the optimization of dividends/consumption of spectrally negative markov processes, until a generalized draw-down time (Q5242231) (← links)
- Detection and Diagnosis of Distribution Changes of Degree Ratio in Complex Networks (Q5265877) (← links)
- A Double Band Control Policy of a Brownian Perishable Inventory System (Q5488546) (← links)
- A general method for analysis and valuation of drawdown risk (Q6111436) (← links)